A1367
Title: Spectral climate risk
Authors: Andrea Cipollini - University of Palermo (Italy) [presenting]
Iolanda Lo Cascio - University of Palermo (Italy)
Fabio Parla - University of Palermo (Italy)
Fabio Parla - University of Palermo (Italy)
Abstract: The purpose is to examine the return performance of a green-minus-brown (GMB) portfolio aiming to hedge climate risk for US. While existing studies focus on the empirical analysis within the time domain, the aim is to analyze the contribution of climate risk to return performance that varies across frequency bands. For this purpose, the extended Wold decomposition of risk-adjusted return and climate concern shock is used. Then, in a second stage, regression analysis shows that green stocks outperform brown stocks over short-medium term horizon.
